ADV and Open Interest Trends

Equity index futures and options volume averaged 2.1 million contracts per day in July 2017, down 19% from July 2016.

Equity Index open interest averaged 8.4 million contracts per day for the month of July, and finished the month with 8.6 million contracts outstanding.

Product Highlights

Russell 2000: Russell 2000 futures and options launched on July 10 and have received extremely positive client interest and activity – over 700 unique accounts have traded 135K+ futures contracts ($9.8 billion notional) since launch, and futures open interest is up to 5,724 contracts ($408 million notional). There were five consecutive days with 10K+ futures contracts traded to end July, including a record day on July 27 with over 23,000 contracts traded ($1.65 billion notional). The futures orderbook liquidity continues to shape up nicely with 12 market makers quoting, on average, 1.5 ticks wide, 11 contracts up, at top-of book. E-mini Russell 2000 options have also been a success thus far, with 4,900+ contracts traded among 15 unique accounts, and open interest of 3,329 contracts. For more information on the transition, and all-things Russell 2000, please see: cmegroup.com/russell2000.

BTIC on Major Indices: BTIC links futures to the cash market close and has been a very positive addition thus far, with over 2.9 million contracts traded ($329B notional) since the November 2015 launch. July was another strong month with 11,000 BTIC on E-mini S&P 500 contracts traded per day. Liquidity on-screen continues to build, with over 77% of BTIC volume taking place on Globex in July. Record day for BTIC on E-mini S&P 500 contracts traded took place on July 31 with a volume of 38,522 ($4.8 billion notional), representing 25% of the MOC value at NYSE and NASDAQ.

S&P Select Sector Futures: In July, the E-mini S&P Select Sector Index Futures complex achieved a monthly ADV of 3,244. This represents a 22% increase over July 2016. Additionally, open interest was 115,343 on July 31, which is +32% from the end of July 2016.

E-mini Nasdaq-100: E-mini Nasdaq-100 futures averaged 276,434 contracts per day in July 2017, representing a 43% increase from July 2016.This represents two straight months of volumes +40% year-over-year.E-mini Nasdaq-100 options averaged 13,808 contracts per day in July 2017, representing an 88% increase from July 2016. Moreover, E-mini Nasdaq-100 options achieved a record volume day on July 27 with 50,000+ contracts traded. In addition to the robust volume that we saw throughout the month, liquidity for our futures complex was tremendous with CME Nasdaq futures trading 2.7x the FANG stocks and 1.9x the FANG stocks and QQQ ETF combined.

Equity Options: Equity Options ADV for July was 523K contracts per day. Short-dated options continue to be a strong driver of our options growth, with both Monday (20K ADV in July) and Wednesday Weekly Options (35K ADV in July) allowing customers the ability to position themselves for headlines and events, such as the French elections or a potential US government shutdown. While both are new products, with the Mondays only having 4 months of adoption, they already comprise 11% of the Equity options business.

Equity Index Products

Explore CME Group's suite of Equity Index products on U.S. and International Indices, Select Sectors, and Options on Futures.

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About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

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Who We Are

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.